I do, they don't, except in multi-room installations as with David. They do that because they need both boxes to 'phone home' from the same land line to prevent fraud. In single box installations, they really aren't worried.
Moreno, Sky usually put a 'doubler' at the nearest socket. A cable from that runs to the box, where they terminate in a trailing socket. Ideally, you want the filter to be at the socket end of that cable, not the box end.